Follow Mode: The gimbal compensates for aircraft Tilt and Pitch to keep video image steady and the horizon horizontal. Good for taking video.
FPV Mode: Camera is locked to Aircraft orientation so video image will tilt when the aircraft rolls. Better for FPV.

However, regardless of the setting my P4P+ seems to be operating in Follow Mode. So I set FPV mode, and when I tilt the copter, I can see the camera moving in the opposite direction to compensate. I thought for FPV mode the camera is supposed to be locked to the Aircraft's orientation?

Hello sakumar,
1) Follow Mode: The angle between the gimbal’s orientation and aircraft’s nose remains constant at all times.
2) FPV Mode: The gimbal will synchronize with the movement of the aircraft to provide a first-person perspective flying experience.
The difference between Follow Mode and FPV Mode is that the image transmission screen will tilt when the left sticks are pushed to the left or right in FPV Mode while the image transmission screen will not in Follow Mode.

DJI Mindy Posted at 2016-12-27 15:25
Hello sakumar,
1) Follow Mode: The angle between the gimbal’s orientation and aircraft’s nose remains constant at all times.
2) FPV Mode: The gimbal will synchronize with the movement of the aircraft to provide a first-person perspective flying experience.

Hello Mindy,

[1] I believe it is the other way around. For FPV mode, the camera/gimbal is [supposed to be] locked to the Aircraft's orientation. For Follow Mode, it compensates for the aircraft Roll and Pitch by adjusting the camera orientation to keep the horizon horizontal.

[2] In any case, I find that for my Phantom Pro+ regardless of whether I have set Follow Mode or FPV mode, I see no difference. Both mode settings behave as if Follow Mode has been set. When I hold the Phantom and roll it from side to side, the video image remains horizontal. This happens regardless of what Mode I have set.

DJI Mindy Posted at 2016-12-27 08:25
Hello sakumar,
1) Follow Mode: The angle between the gimbal’s orientation and aircraft’s nose remains constant at all times.
2) FPV Mode: The gimbal will synchronize with the movement of the aircraft to provide a first-person perspective flying experience.

The "Follow Mode" explanation is wrong, as it is a simple copy and paste from the manual, that itself copies the original "Inspire 1" manual section of "Follow Mode".
There simply is by design no "angle between the gimbal’s orientation and aircraft’s nose" in Phantoms.
Also the "FPV Mode" explanation is a copy and paste from the "Inspire" manual.

This is just one of the several questionable operation hand book text flaws, that seem to remain unchanged or even grow in number through generations of products...

I would explain it this way:
1) "Follow Mode": the gimbal compensates all pitch and roll movements of the drone to keep the view angles vertically and horizontally stable. The yaw movements of the drone are eased by the gimbal's yaw axis, which results in a softened pan. (More ease in and out for yaw panning can be achived by activating "Gimbal Pan Synchronous Follow" in the app's gimbal settings menu.)
2) "FPV Mode": the gimbal compensates the pitch movements of the drone (steady vertical view angle). Roll (horizontal view) and yaw (panning) movements are followed and eased by the gimbal. This is to provide a smooth first person view (FPV experience) while eliminating "earth only views" during acceleration and in flight or "sky only views" during deceleration.

[1] I believe it is the other way around. For FPV mode, the camera/gimbal is [supposed to be] locked to the Aircraft's orientation. For Follow Mode, it compensates for the aircraft Roll and Pitch by adjusting the camera orientation to keep the horizon horizontal.

Try to use gimbal FPV mode while really flying. IIRC FPV mode might not work when holding the drone in the hand only simulating the rolls...
If there is no difference between the two modes while actually flying some maneuvers, there could be indeed a software/hardware flaw.